I hate to evade, but I have to say "it depends".
As others have noted, a WinModem uses your system's processing power
to perform functions that a hardware modem performs with it's own
computer.
If you've got a fast computer, with plenty of horsepower to spare, you
probably won't notice any difference.
It is more important to ensure that your modem, and your ISP's modem
on the other end, are fully compatible. In my case, replacing an old
56K hardware modem with a less-old 56K hardware modem supporting
V.92/V.42bis made a world of difference.
Have you tried to measure your connection speed?